I was running a bunch of simple simulations in excel the other day in excel. Using the NORM.INV(RAND(),0,1) to simulate daily stock returns I noticed that the more compounded the returns, ie, the more ...

Namely, I dont understand why the mean is $(\mu - \frac{1}{2}\sigma^2)\triangle t$ and not just $\mu \triangle t$. I am aware that it is supposed to represent a lognormal distribution, but I guess I'm ...

Ok, I am working on a problem that consists of the following:
I am looking to solve the portfolio choice optimization problem (maximizing utility with a known utility function) in the case where all ...

I am looking at the variance of (log) price changes in securities vs. the amount of social media discussion about them. I'm not interested in building a model. I'm just looking to see if there is a ...

In this paper in equation 15 on page 261 dealing with one factor copula model, one is using creditworthiness indicator as one of a variables. It is defined as
\begin{equation}
Y_c = \sqrt{\rho_c} Z ...

Lets say I want to find out the area under the graph of normal distribution curve, between X1=standard deviation of -0.5 and X2 = standard deviation of 0.5. Is there a formula for this?
Case study: ...

Lets say that the current price of a security is £245 , $\mu =5%$ and $\sigma=32%$
Assume that the natural logarithm of $\frac{S_{t +\delta t}}{S_t}$ is approximately normally distributed with mean ...

According to this wikipedia: http://en.wikipedia.org/wiki/Earnings_surprise, the SUE score is a "standardized" difference between reported earnings and expected earnings. Therefore, can the SUE score ...

My book assumes many times that $log(1+R)$ is normally distributed, so R is log-normal. But does this also mean that the value process is log-normal? Since $V=V_0(1+R)\rightarrow V/V_0=1+R$, and since ...

How can we use normal distribution for finding the probability of a stock price offer where current price offer depends upon the last price offer. The price offer on some day can go 10% above (at the ...